Fixed Income

Treasury Auctions

U.S. Department of Treasury - Treasury Direct API

Comprehensive U.S. Treasury marketable securities auction data covering the complete auction lifecycle for Bills, Notes, Bonds, TIPS, and FRNs. Includes pre-auction announcements, post-auction results, bidding details, and market participant breakdowns.

Update Frequency

Daily at 2:00 PM ET

Historical Coverage

From 2002

Point in Time

Available

Overview & Use Cases

Best Used For

•Fixed income trading and yield curve analysis
•Treasury market demand and sentiment assessment
•Primary dealer and foreign participation tracking
•Interest rate forecasting and monetary policy analysis

Common Workflows

•Bid-to-cover ratio trend analysis for demand signals
•Foreign central bank participation monitoring
•Primary dealer allocation pattern analysis
•Auction tail analysis for pricing efficiency

Coverage Details

Treasury Bills

4-week to 52-week maturities

Treasury Notes

2-year to 10-year maturities

Treasury Bonds

20-year and 30-year maturities

TIPS

Treasury Inflation-Protected Securities

FRNs

Floating Rate Notes

All Participants

Primary dealers, direct, indirect, SOMA

Data Dictionary & Schema

Field	Type	Unit	Description	Sample
cusip	STRING	N/A	CUSIP identifier for the Treasury security	912810TM0
securityType	STRING	N/A	Type of Treasury security	Note
securityTerm	STRING	N/A	Security term descriptor	10-Year
term	STRING	N/A	Security term descriptor	10-Year
securityTermDayMonth	STRING	N/A	Term expressed in days or months	91 Days
securityTermWeekYear	STRING	N/A	Term expressed in weeks or years	10 Year
type	STRING	N/A	Security type abbreviation	NOTE
series	STRING	N/A	Bond series information	2034-01
announcementDate	DATE	N/A	Auction announcement date	2024-01-10
auctionDate	DATE	N/A	Auction execution date	2024-01-15
auctionDateYear	INTEGER	N/A	Year of auction	2024
issueDate	DATE	N/A	Security issuance date	2024-01-18
maturityDate	DATE	N/A	Security maturity date	2034-01-15
datedDate	DATE	N/A	Interest accrual start date	2024-01-15
originalIssueDate	DATE	N/A	Original issuance date for reopenings	2023-11-15
updatedTimestamp	TIMESTAMP	N/A	Last update timestamp	2024-01-15 14:30:00
highDiscountRate	DECIMAL	Percentage	Highest accepted discount rate	5.125
lowDiscountRate	DECIMAL	Percentage	Lowest accepted discount rate	5.050
highYield	DECIMAL	Percentage	Highest accepted yield	4.125
lowYield	DECIMAL	Percentage	Lowest accepted yield	4.050
highPrice	DECIMAL	Price per $100	Highest accepted price	99.875000
lowPrice	DECIMAL	Price per $100	Lowest accepted price	99.750000
pricePer100	DECIMAL	Price per $100	Price per $100 face value	99.812500
averageMedianYield	DECIMAL	Percentage	Median yield of accepted bids	4.087
averageMedianPrice	DECIMAL	Price per $100	Median price of accepted bids	99.812500
totalTendered	DECIMAL	USD (Millions)	Total bids received	45678.50
totalAccepted	DECIMAL	USD (Millions)	Total amount awarded	24000.00
competitiveTendered	DECIMAL	USD (Millions)	Competitive bids received	44178.50
competitiveAccepted	DECIMAL	USD (Millions)	Competitive bids accepted	22500.00
noncompetitiveAccepted	DECIMAL	USD (Millions)	Noncompetitive awards	1500.00
bidToCoverRatio	DECIMAL	Ratio	Bid-to-cover ratio	2.45
allocationPercentage	DECIMAL	Percentage	Allocation at high rate/yield	45.67
primaryDealerTendered	DECIMAL	USD (Millions)	Primary dealer bids	25000.00
primaryDealerAccepted	DECIMAL	USD (Millions)	Primary dealer awards	12000.00
indirectBidderTendered	DECIMAL	USD (Millions)	Indirect bidder bids	8000.00
indirectBidderAccepted	DECIMAL	USD (Millions)	Indirect bidder awards	4500.00
directBidderTendered	DECIMAL	USD (Millions)	Direct bidder bids	12678.50
directBidderAccepted	DECIMAL	USD (Millions)	Direct bidder awards	6000.00
treasuryRetailAccepted	DECIMAL	USD (Millions)	Retail investor awards	500.00
somaIncluded	BOOLEAN	N/A	SOMA participation flag	true
somaTendered	DECIMAL	USD (Millions)	SOMA bid amount	2000.00
somaAccepted	DECIMAL	USD (Millions)	SOMA awards	1500.00
somaHoldings	DECIMAL	USD (Millions)	Current SOMA holdings	15000.00
offeringAmount	DECIMAL	USD (Millions)	Total offering size	24000.00
maximumCompetitiveAward	DECIMAL	USD (Millions)	Maximum competitive award per bidder	8400.00
maximumNoncompetitiveAward	DECIMAL	USD (Millions)	Maximum noncompetitive award	5.00
minimumBidAmount	DECIMAL	USD	Minimum bid amount	100.00
multiplesToBid	DECIMAL	USD	Bid increment multiples	100.00
interestRate	DECIMAL	Percentage	Coupon rate	4.125
interestPaymentFrequency	STRING	N/A	Interest payment frequency	Semiannual
firstInterestPaymentDate	DATE	N/A	First interest payment date	2024-07-15
callable	BOOLEAN	N/A	Callable security flag	false
strippable	BOOLEAN	N/A	STRIPS eligible flag	true
floatingRate	BOOLEAN	N/A	Floating rate security flag	false
tips	BOOLEAN	N/A	TIPS security flag	false
reopening	BOOLEAN	N/A	Reopening flag	false
originalCusip	STRING	N/A	Original CUSIP for reopenings	912810TM0
currentlyOutstanding	DECIMAL	USD (Millions)	Currently outstanding amount	48000.00
endpoint_type	STRING	N/A	API endpoint type	auctioned
extraction_timestamp	TIMESTAMP	N/A	Data extraction time	2024-01-15 15:00:00
data_source	STRING	N/A	Data source identifier	treasury_direct_ta_ws
auction_status	STRING	N/A	Auction status	completed
announcementdate_clean	DATE	N/A	Clean announcement date	2024-01-10
auctiondate_clean	DATE	N/A	Clean auction date	2024-01-15
issuedate_clean	DATE	N/A	Clean issue date	2024-01-18
maturitydate_clean	DATE	N/A	Clean maturity date	2034-01-15

Data Quality & Methodology

Data Collection Process

Treasury auction data is collected directly from the U.S. Department of Treasury's Treasury Direct API. Data includes both pre-auction announcements and post-auction results with complete bidding details and participant breakdowns.

•Real-time auction announcements and results from Treasury Direct
•Complete bidding details including competitive and noncompetitive bids
•Participant breakdown by primary dealers, direct, indirect, and SOMA

Quality Controls

•Direct API integration with Treasury systems ensures data accuracy
•Cross-validation of auction totals and participant allocations
•Historical consistency checks for bid-to-cover ratios and pricing
•Automated validation of CUSIP identifiers and security details

Known Limitations

•Data availability depends on Treasury auction schedule
•Some historical data may have formatting differences pre-2010
•Participant breakdowns may not be available for very early auctions
•Holiday schedules may affect auction timing and data availability

"Gotchas" & Important Notes

Common Misconceptions

⚠
Bid-to-Cover vs. Demand: High bid-to-cover ratios don't always indicate strong demand - they can also reflect supply constraints or auction size changes.
⚠
Indirect Bidders ≠ Foreign Demand: While indirect bidders are often foreign central banks, they can also include domestic institutions bidding through intermediaries.

Timing Considerations

⏰
Auction Results: Published daily at 2:00 PM ET after auction close, typically within 30 minutes of auction completion.
⏰
Announcement Schedule: Upcoming auctions announced twice weekly (Wednesday/Friday) with 3-7 day advance notice.
⏰
Settlement Timing: Issue dates are typically 1-3 business days after auction date, varying by security type.

Understanding Auction Mechanics

Treasury auctions follow specific rules and conventions that are important for data interpretation:

•Competitive Bids: Specify rate/yield requirements, allocated from lowest to highest rate
•Noncompetitive Bids: Accept whatever rate is determined, filled first up to $5M per bidder
•Stop-Out Rate: Highest rate accepted (high_rate field), determines pricing for all winners
•Tail: Difference between stop-out rate and when-issued rate before auction

Data Interpretation Guidelines

•Reopenings: Check reopening field - reopened securities have same CUSIP as original issue
•TIPS Pricing: TIPS auction results show real yields, not nominal yields
•FRN Rates: Floating Rate Notes show discount margins, not absolute rates
•Bill Pricing: Treasury Bills are quoted on discount rate basis, not yield basis

Ready to Integrate Treasury Auction Data?

Contact our team to learn more about how Pronto can deliver comprehensive Treasury auction data directly to your environment with full documentation and support.

Get Started